Waterloo, Ontario N2L 3G1
University of Waterloo - Cheriton School of Computer Science
in Total Papers Citations
mean-variance, impulse control, HJB equation, finite difference, viscosity solution
mean-variance, HJB equation, finite difference, viscosity solution, self-financing, continuous re-balancing, discrete re-balancing portfolio allocation
multi-period mean-variance optimal, endowment, pension de-accumulation
mean-variance, scalarization optimization, embedding, Pareto optimal, asset-liability, Hamilton-Jacobi-Bellman (HJB) equation, jump diffusion
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mean–variance, embedding, Pareto optimal, Hamilton–Jacobi–Bellman (HJB) equation, monotone scheme, wide stencil
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